I contacted Artura about this. it's because the Arp is synced to the clock so if you press the keys out of sync with the clock it gives the appearance of latency because the note won't be played until the next beat of the clock, that's why it appears worse at slow arp speeds. The clock starts as soon as you press the play button, you can see the beats with the flashing of the tap tempo so you have to play in time.
if your Korg is the same as my mininova and bass station, the clock resets when you release all the keys and starts as soon as you next press the keys.
I prefer this and wish the Keystep offered this option as its better for me when playing with a real drummer.
This is a deal breaker for me and I'm thinking about returning mine as the Keystep isn't offering anything I can't already do. it's a shame as the sequencer is ok and the keys are nice to play, I just don't like the ARP.